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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009628606
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Tests of stochastic dominance for time series data : theory and empirical application
Kläver, Hendrik - 2006
bivariaten GARCH (1,1), der bezüglich Anpassung und Vorhersage gut für Finanzmarktdaten geeignet ist. Um einen Eindruck über den … inferenzstatistische Methoden für Erwartungswerte und Varianzen. Es zeigt sich, dass Varianzprozeduren durch GARCH (1,1) stark beeinflusst …
Persistent link: https://www.econbiz.de/10003315772
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Option pricing with Markov switching stochastic volatility models
Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63
Persistent link: https://www.econbiz.de/10012601380
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Real-time forecast of DSGE models with time-varying volatility in GARCH form
Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10012800653
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Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Liu, Zhibin; Huang, Shang-Ho - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012667720
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020
Persistent link: https://www.econbiz.de/10012435636
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
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Volatility modelling and VaR : the case of Bitcoin, Ether and Ripple
Ječmínek, Jakub; Kukalová, Gabriela; Moravec, Lukáš - In: Danube : law and economics review 11 (2020) 3, pp. 253-269
GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10012309770